XLP Options History — November 2015

In November 2015, XLP traded between $47.87 and $50.13. ATM implied volatility averaged 13.4%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.3% (HV 20d: 13.1%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 3.28.

Notable Days

  • 2015-11-20: Highest Volume — 18,004 contracts
  • 2015-11-12: Largest IV spike — 14.2% change
  • 2015-11-13: Highest IV Rank — 42.2%
  • 2015-11-13: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.22$47.87$50.13$50.13$49.42
Max Pain$47.21$47.00$49.00$49.00$47.00
ATM IV13.4%11.6%16.2%11.8%12.7%
Expected Move4.1%3.5%4.8%3.5%4.2%
HV 20d13.1%12.2%14.5%12.2%13.8%
HV 60d17.1%15.3%18.3%17.5%15.3%
IV Rank24.8%12.9%42.2%14.8%20.1%
IV Percentile65.4%32.1%90.1%44.8%56.3%
Term Structure0.2%-1.7%1.7%0.3%-0.2%
VWIV14.7%11.6%19.0%12.4%15.2%
Skew 25d3.8%2.9%5.3%3.6%3.1%
Skew 10d8.5%6.1%13.1%7.6%7.1%
Call IV 25d11.7%10.2%13.8%10.5%12.0%
Put IV 25d15.5%13.3%19.1%14.1%15.1%
Bid-Ask Spread %11.727.6719.079.8319.07
Gamma HHI0.240.120.690.240.24
Net GEX7.7M-4.4M37.8M10.4M5.5M
Net DEX-112.3M-182.8M-4.1M-182.8M-127.3M
Net VEX-750.8K-860.0K-589.8K-689.6K-665.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.280.3022.040.743.68
Total Volume8,989.4741,72018,0047,4418,285
Total OI175,541.316166,141186,409166,141173,882

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$50.13$49.0011.8%3.5%12.2%14.8%12.4%3.6%0.3%10.4M-182.8M-689.6K0.749.834,2833,15869,87096,271
2015-11-04$49.62$49.0012.7%3.8%12.7%20.3%12.9%4.1%-0.1%8.2M-142.8M-836.5K1.0114.504,7384,77171,08596,930
2015-11-05$49.70$47.0012.9%3.9%12.5%21.5%13.9%3.5%0.0%8.7M-160.2M-714.6K1.258.593,5834,47670,74298,334
2015-11-06$49.16$47.0012.6%4.1%12.4%19.7%12.6%3.6%0.5%7.0M-106.7M-840.9K2.0913.822,9336,12970,38398,343
2015-11-09$48.86$47.0013.4%4.2%12.5%24.9%17.2%3.8%1.3%5.3M-84.2M-850.4K22.0412.633708,15469,881100,780
2015-11-10$48.96$47.0013.0%4.1%12.5%22.6%12.5%3.9%1.3%3.3M-95.1M-779.4K2.279.462,5065,68069,983105,942
2015-11-11$49.14$47.0012.8%4.1%12.4%21.4%12.1%3.6%1.4%4.1M-100.8M-805.6K2.2713.452,5025,66870,081106,871
2015-11-12$48.29$47.0014.7%4.7%13.2%32.9%14.9%5.2%1.7%-1.8M-40.3M-860.0K2.848.032,5767,30770,110106,825
2015-11-13$47.87$47.0016.2%4.8%12.8%42.2%18.4%5.3%1.2%-4.4M-4.1M-855.1K3.2312.602,0446,61269,862108,110
2015-11-16$48.61$47.0015.2%4.4%13.6%36.1%16.1%4.9%0.3%112.2K-70.2M-779.7K0.6514.541,04467669,157108,507
2015-11-17$48.70$47.0015.4%4.4%13.6%37.4%18.9%3.6%0.4%-348.9K-86.5M-710.3K3.6310.802,6729,69169,447108,771
2015-11-18$49.32$47.0015.0%4.3%14.4%34.9%19.0%3.1%-1.7%3.7M-116.4M-758.8K4.1515.952,2819,46869,651112,729
2015-11-19$49.46$47.0014.3%4.2%14.5%30.4%17.2%3.8%-1.6%5.8M-119.5M-759.6K2.327.673,1237,24669,654116,129
2015-11-20$49.06$47.0013.6%4.0%12.6%26.0%15.0%4.1%-0.6%19.7M-102.8M-727.1K4.7711.103,11914,88570,178116,231
2015-11-23$49.50$47.0012.8%3.8%13.2%20.7%13.1%3.6%-0.4%7.4M-128.5M-664.0K0.3011.361,49945164,063107,589
2015-11-24$49.64$47.0012.6%3.7%13.3%19.2%11.6%2.9%-0.1%9.2M-150.2M-589.8K0.3210.333,7911,21265,115107,800
2015-11-25$49.77$47.0011.6%3.6%13.3%13.3%13.4%3.3%0.0%16.0M-153.1M-674.5K1.9911.253,9057,78868,391108,628
2015-11-27$49.96$47.0011.6%3.6%13.3%12.9%13.2%3.5%-0.4%37.8M-162.3M-703.9K2.707.733,2868,88870,225108,735
2015-11-30$49.42$47.0012.7%4.2%13.8%20.1%15.2%3.1%-0.2%5.5M-127.3M-665.7K3.6819.071,7716,51465,719108,163